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Note 7 (Tables)
 12 Months Ended
Dec. 31, 2021
Risk Management [Abstract]  
Amount of payment deferral and financing with public guarantees of the Group [Table Text Block]
The outstanding balance of existing loans for which a payment deferral was granted (split by those existing at year-end and those that were completed by year-end) under EBA standards and for which financing was granted with public guarantees given at a Group level, as well as the number of customers of both measures, as of December 31, 2021 and 2020 are as follows:
Amount of payment deferral and financing with public guarantees of the Group (Millions of Euros)
Payment deferralFinancing with
public guarantees
Existing CompletedTotal Number of
 customers
Total Number of
customers
Total
payment deferral
 and guarantees
(%) credit investment
December 202118921,74321,9312,188,72016,093264,80938,02510.9 %
December 2020 (*)6,53621,86828,4052,779,96416,053249,45844,45812.9 %
(*) Figures as of December 2020 do not include the companies sold in the United States in 2021.
Amount of payment deferral and financing with public guarantees by concept [Table Text Block]
The outstanding balance of existing loans for which a payment deferral was granted (split by those existing at year-end and those that were completed by year-end) under EBA standards and for which financing was granted with public guarantees given at a Group level, broken down by segment, as of December 31, 2021 and 2020 are as follows:
Amount of payment deferral and financing with public guarantees by concept (Millions of Euros)
Payment deferralFinancing with
 public guarantees
Existing CompletedTotal
20212020 (*)20212020 (*)20212020 (*)20212020 (*)
Group1896,53621,74321,86821,93128,40516,09316,053
Households1074,50314,90414,55015,01119,0521,3761,235
Of which: Mortgages973,58710,1957,47110,29111,05961
SMEs441,0233,9504,7433,9945,76610,91110,573
Non-financial corporations379612,7662,3972,8033,3583,7884,232
Other—501221791222291813
(*) Figures as of December 2020 do not include the companies sold in the United States in 2021.
Amount of payment deferral by stages [Table Text Block]
Amount of payment deferral by stages (Millions of Euros)
Stage 1Stage 2Stage 3Total
20212020 (*)20212020 (*)20212020 (*)20212020 (*)
Group13,23618,6026,2527,7362,4442,06621,93128,405
Households9,16712,3363,7074,9972,1371,71915,01119,052
Of which: Mortgages6,3607,3472,4442,8441,48786710,29111,059
SMEs2,6094,1471,1311,3272542923,9945,766
Non-financial corporations1,3641,9031,3871,39953562,8033,358
Other952162713——122229
(*) Figures as of December 2020 do not include the companies sold in the United States in 2021.
Positive scenario of GDP, unemployment rate and HPI for the main geographies [Table Text Block]
BBVA Research forecasts a maximum of five years for the macroeconomic variables. The following estimates for the next five years of the Gross Domestic Product (GDP) growth, of the unemployment rate and of the House Price Index (HPI), for the most relevant countries where it represents a significant factor, are determined by BBVA Research and have been used at the time of the calculation of the ECL as of December 31, 2021:
Positive scenario of GDP, unemployment rate and HPI for the main geographies
SpainMexicoTurkey
DateGDPUnemploymentHPIGDPUnemploymentHPIGDPUnemployment
20215.52 %14.42 %0.33 %6.39 %4.18 %2.35 %11.63 %11.90 %
20226.14 %12.50 %4.70 %4.07 %3.89 %5.38 %5.60 %11.35 %
20235.13 %10.05 %3.06 %2.81 %3.75 %3.85 %5.80 %11.93 %
20242.61 %8.48 %1.87 %2.17 %3.69 %3.07 %3.62 %12.66 %
20252.22 %7.49 %1.56 %1.88 %3.64 %4.08 %3.66 %12.94 %
20262.19 %6.71 %1.19 %1.83 %3.59 %3.95 %3.66 %13.05 %
PeruArgentinaColombia
DateGDPUnemploymentGDPUnemploymentGDPUnemployment
202113.60 %11.33 %9.91 %15.12 %9.89 %15.36 %
20224.91 %7.50 %6.69 %11.34 %5.33 %13.60 %
20233.78 %6.82 %3.02 %9.48 %3.38 %13.22 %
20242.76 %6.55 %2.09 %7.99 %3.30 %12.31 %
20252.34 %6.52 %2.16 %6.89 %3.44 %11.58 %
20262.28 %6.47 %2.12 %6.88 %3.51 %11.32 %
The estimate for the next five years of the following rates, used in the measurement of the expected loss as of December 31, 2020, consistent with the latest estimates made public at that date, was:
Positive scenario of GDP, unemployment rate and HPI for the main geographies
SpainMexicoTurkey
DateGDPUnemploymentHPIGDPUnemploymentHPIGDPUnemployment
2020(11.20)%16.44%(1.44)%(8.85)%4.57%1.71%2.07%13.45%
20216.63%16.03%(3.28)%4.58%5.40%(1.23)%9.08%12.60%
20226.27%12.72%4.56%3.80%5.17%0.32%5.30%11.58%
20232.95%10.82%5.79%1.62%5.04%0.31%4.13%11.58%
20242.07%9.58%3.66%1.47%4.91%1.01%4.11%11.19%
20252.01%8.55%3.57%1.47%4.76%1.72%4.10%10.85%
PeruArgentinaColombia
DateGDPUnemploymentGDPUnemploymentGDPUnemployment
2020(11.74) %12.75 %(10.64) %13.60 %(6.80) %18.14 %
202112.56 %10.29 %9.95 %14.39 %6.80 %16.14 %
20225.25 %10.00 %3.52 %11.88 %3.70 %14.53 %
20233.68 %8.73 %2.08 %8.99 %3.15 %14.28 %
20243.58 %7.23 %2.11 %7.69 %3.27 %12.49 %
20253.35 %6.88 %2.14 %6.78 %3.60 %12.28 %
Base scenario of GDP, unemployment rate and HPI for the main geographies [Table Text Block]
Base scenario of GDP, unemployment rate and HPI for the main geographies
SpainMexicoTurkey
DateGDPUnemploymentHPIGDPUnemploymentHPIGDPUnemployment
20215.23 %14.93 %(0.20) %5.98 %4.22 %2.46 %9.46 %12.43 %
20225.49 %13.98 %2.91 %3.19 %4.05 %5.30 %1.98 %12.80 %
20234.89 %11.68 %2.04 %2.54 %3.92 %3.68 %5.04 %12.93 %
20242.59 %10.08 %1.50 %2.09 %3.83 %3.07 %3.49 %13.03 %
20252.22 %9.05 %1.10 %1.87 %3.77 %4.08 %3.54 %13.13 %
20262.19 %8.15 %0.74 %1.82 %3.71 %3.93 %3.53 %13.23 %
PeruArgentinaColombia
DateGDPUnemploymentGDPUnemploymentGDPUnemployment
202112.22 %11.38 %7.49 %15.50 %9.17 %15.44 %
20222.32 %7.70 %2.30 %12.35 %4.02 %13.86 %
20233.05 %7.06 %2.04 %10.40 %3.13 %13.51 %
20242.76 %6.76 %1.98 %8.60 %3.29 %12.60 %
20252.34 %6.70 %2.03 %7.38 %3.44 %11.87 %
20262.28 %6.64 %1.99 %7.38 %3.51 %11.53 %
Base scenario of GDP, unemployment rate and HPI for the main geographies
SpainMexicoTurkey
DateGDPUnemploymentHPIGDPUnemploymentHPIGDPUnemployment
2020(11.48) %16.95 %(1.98)%(9.25) %4.62 %1.81 %(0.01) %13.98 %
20215.99 %17.51 %(5.08) %3.71 %5.57 %(1.32) %5.52 %14.05 %
20226.04 %14.35 %3.48 %3.53 %5.35 %0.15 %4.53 %12.58 %
20232.93 %12.41 %5.44 %1.55 %5.19 %0.31 %4.01 %11.95 %
20242.07 %11.14 %3.20 %1.45 %5.03 %1.02 %3.99 %11.38 %
20252.01 %9.99 %3.12 %1.46 %4.88 %1.71 %3.98 %11.03 %
PeruArgentinaColombia
DateGDPUnemploymentGDPUnemploymentGDPUnemployment
2020(13.04) %12.80 %(13.00) %13.98 %(7.51) %18.23 %
202110.05 %10.48 %5.54 %15.40 %5.48 %16.40 %
20224.52 %10.23 %2.54 %12.80 %3.46 %14.83 %
20233.69 %8.93 %1.98 %9.60 %3.15 %14.57 %
20243.58 %7.41 %1.98 %8.18 %3.27 %12.78 %
20253.35 %7.06 %2.01 %7.28 %3.60 %12.55 %
Negative scenario of GDP, unemployment rate and HPI for the main geographies [Table Text Block]
Negative scenario of GDP, unemployment rate and HPI for the main geographies
SpainMexicoTurkey
DateGDPUnemploymentHPIGDPUnemploymentHPIGDPUnemployment
20214.95 %15.41 %(0.82) %5.58 %4.27 %2.54 %7.29 %12.94 %
20224.88 %15.41 %1.31 %2.33 %4.23 %5.13 %(1.87) %14.26 %
20234.68 %13.25 %1.09 %2.26 %4.10 %3.48 %4.09 %13.99 %
20242.54 %11.65 %0.99 %2.03 %3.99 %2.92 %3.40 %13.41 %
20252.18 %10.62 %0.35 %1.82 %3.90 %4.05 %3.47 %13.31 %
20262.15 %9.61 %(0.01) %1.78 %3.84 %3.93 %3.46 %13.40 %
PeruArgentinaColombia
DateGDPUnemploymentGDPUnemploymentGDPUnemployment
202110.84 %11.43 %5.14 %15.86 %8.43 %15.52 %
2022(0.28) %7.90 %(2.34) %13.33 %2.72 %14.12 %
20232.31 %7.30 %0.85 %11.29 %2.83 %13.79 %
20242.76 %6.98 %1.86 %9.19 %3.29 %12.87 %
20252.34 %6.91 %1.88 %7.83 %3.43 %12.13 %
20262.28 %6.85 %1.83 %7.85 %3.51 %11.71 %
Negative scenario of GDP, unemployment rate and HPI for the main geographies
SpainMexicoTurkey
DateGDPUnemploymentHPIGDPUnemploymentHPIGDPUnemployment
2020(11.76) %17.44 %(2.60) %(9.64) %4.67 %1.89 %(2.10) %14.49 %
20215.37 %18.94 %(6.69) %2.84 %5.75 %(1.48) %1.75 %15.51 %
20225.82 %15.92 %2.49 %3.25 %5.53 %(0.06) %3.56 %13.64 %
20232.88 %13.99 %4.94 %1.48 %5.34 %0.17 %3.92 %12.33 %
20242.03 %12.70 %2.45 %1.41 %5.17 %0.99 %3.91 %11.56 %
20251.97 %11.45 %2.36 %1.41 %5.02 %1.70 %3.91 %11.20 %
PeruArgentinaColombia
DateGDPUnemploymentGDPUnemploymentGDPUnemployment
2020(14.33) %12.85 %(15.28) %14.34 %(8.25) %18.31 %
20217.53 %10.69 %0.89 %16.38 %4.16 %16.66 %
20223.78 %10.48 %1.33 %13.69 %3.16 %15.10 %
20233.69 %9.15 %1.86 %10.19 %3.15 %14.84 %
20243.57 %7.62 %1.83 %8.63 %3.27 %13.04 %
20253.35 %7.27 %1.86 %7.75 %3.60 %12.80 %
Expected loss variation as of december [Table Text Block]
Variation in expected loss is determined both by re-staging (that is: in worse scenarios due to the recognition of lifetime credit losses for additional operations that are transferred to stage 2 from stage 1 where 12 months of losses are valued: or vice versa in improvement scenarios) as well as variations in the collective risk parameters (PD and LGD) of each financial instrument due to the changes defined in the macroeconomic forecasts of the scenario.
Expected loss variation as of December 31, 2021
BBVA GroupSpainMexicoTurkey
GDPTotal PortfolioRetailMortgagesWholesalerFixed incomeTotal PortfolioMortgagesCompaniesTotal PortfolioMortgagesCardsTotal PortfolioWholesaleRetail
-100pb3.44%3.18%3.43%4.87%1.87%3.33%4.03%4.16%3.73%2.06%6.57%2.39%2.03%2.67%
+100pb(3.20)%(2.96)%(2.92)%(4.54)%(1.82)%(3.06)%(3.35)%(3.97)%(3.56)%(1.96)%(6.07)%(2.29)%(2.08)%(2.47)%
Housing price
-100pb5.17%0.78%2.90%
+100pb(5.11)%(0.77)%(2.73)%
Expected loss variation as of December 31, 2020
BBVA GroupSpainMexicoTurkey
GDPTotal PortfolioRetailMortgagesWholesalerFixed incomeTotal PortfolioMortgagesCompaniesTotal PortfolioMortgagesCardsTotal PortfolioWholesaleRetail
-100pb3.55%3.47%3.72%3.91%1.58%3.72%4.39%3.96%3.91%2.20%6.30%1.56%1.58%1.62%
+100pb(3.25)%(3.14)%(3.03)%(3.69)%(1.97)%(3.32)%(3.57)%(3.53)%(3.64)%(2.07)%(5.78)%(1.47)%(1.55)%(1.47)%
Housing price
-100pb5.41%0.79%3.13%
+100pb(5.35)%(0.77)%(4.47)%
Maximum credit risk exposure [Table Text Block]
In accordance with IFRS 7 “Financial instruments: Disclosures”, the BBVA Group’s credit risk exposure by headings in the balance sheets as of December 31, 2021, 2020 and 2019 is provided below. It does not consider the loss allowances and the availability of collateral or other credit enhancements to enable compliance with payment obligations. The details are broken down by financial instruments and counterparties:
Maximum credit risk exposure (Millions of Euros)
NotesDecember
2021		Stage 1Stage 2Stage 3
Financial assets held for trading 92,560
Equity instruments1015,963
Debt securities1025,790
Loans and advances1050,807
Non-trading financial assets mandatorily at fair value through profit or loss6,086
Equity instruments115,303
Debt securities11128
Loans and advances11655
Financial assets designated at fair value through profit or loss121,092
Derivatives (trading and hedging) 43,687
Financial assets at fair value through other comprehensive income60,495
Equity instruments131,320
Debt securities59,14858,587561—
Loans and advances to credit institutions132727——
Financial assets at amortized cost383,870334,77234,41814,680
Debt securities34,83334,60520522
Loans and advances to central banks5,6875,687——
Loans and advances to credit institutions13,29513,28510—
Loans and advances to customers330,055281,19534,20314,657
Total financial assets risk587,789
Total loan commitments and financial guarantees165,941152,91412,070957
Loan commitments given33119,618112,4946,953171
Financial guarantees given3311,72010,1461,329245
Other commitments given3334,60430,2743,789541
Total maximum credit exposure753,730
Maximum credit risk exposure (Millions of Euros)
NotesDecember
2020		Stage 1Stage 2Stage 3
Financial assets held for trading 65,696
Equity instruments1011,458
Debt securities1023,970
Loans and advances1030,268
Non-trading financial assets mandatorily at fair value through profit or loss5,198
Equity instruments114,133
Debt securities11356
Loans and advances11709
Financial assets designated at fair value through profit or loss121,117
Derivatives (trading and hedging) 46,302
Financial assets at fair value through other comprehensive income69,537
Equity instruments131,100
Debt securities68,40467,995410—
Loans and advances to credit institutions133333——
Financial assets at amortized cost379,857334,55230,60714,698
Debt securities35,78535,759620
Loans and advances to central banks6,2296,229——
Loans and advances to credit institutions14,59114,565206
Loans and advances to customers323,252277,99830,58114,672
Total financial assets risk567,705
Total loan commitments and financial guarantees179,440165,72612,6821,032
Loan commitments given33132,584124,1048,214265
Financial guarantees given3310,6659,2081,168290
Other commitments given3336,19032,4143,300477
Total maximum credit exposure747,145
Maximum credit risk exposure (Millions of Euros)
NotesDecember
2019		Stage 1Stage 2Stage 3
Financial assets held for trading 67,238
Equity instruments108,892
Debt securities1026,309
Loans and advances1032,037
Non-trading financial assets mandatorily at fair value through profit or loss5,557
Equity instruments114,327
Debt securities11110
Loans and advances111,120
Financial assets designated at fair value through profit or loss121,214
Derivatives (trading and hedging) 39,462
Financial assets at fair value through other comprehensive income61,293
Equity instruments132,420
Debt securities58,84158,590250—
Loans and advances to credit institutions133333——
Financial assets at amortized cost451,640402,02433,62415,993
Debt securities38,93038,79010633
Loans and advances to central banks4,2854,285——
Loans and advances to credit institutions13,66413,5001586
Loans and advances to customers394,763345,44933,36015,954
Total financial assets risk626,404
Total loan commitments and financial guarantees181,116169,66310,4521,001
Loan commitments given33130,923123,7076,945270
Financial guarantees given3310,9849,804955224
Other commitments given3339,20936,1512,552506
Total maximum credit exposure807,520
Maximum Credit Risk Exposure, accumulated allowances and carrying amount by geographical location [Table Text Block]
The breakdown by geographical location and Stage of the maximum credit risk exposure, the accumulated allowances recorded and the carrying amount of the loans and advances to customers as of December 31, 2021, 2020 and 2019 is shown below:
December 2021 (Millions of Euros)
Gross exposureAccumulated allowancesCarrying amount
TotalStage 1Stage 2Stage 3TotalStage 1Stage 2Stage 3TotalStage 1Stage 2Stage 3
Spain (*)201,405171,88321,3808,143(5,277)(722)(923)(3,631)196,129171,16120,4574,511
Mexico57,84751,6654,2611,921(2,038)(740)(381)(916)55,80950,9253,8801,005
Turkey (**)33,47226,4974,1342,841(2,058)(224)(424)(1,410)31,41426,2733,7111,431
South America (***)36,33530,1664,4251,744(1,736)(277)(362)(1,096)34,59929,8894,062648
Others 99698439(8)(1)—(7)98898332
Total (****)330,055281,19534,20314,657(11,116)(1,964)(2,091)(7,061)318,939279,23132,1127,596
Of which: individual(2,528)(4)(657)(1,867)
Of which: collective(8,587)(1,959)(1,434)(5,194)
(*) Spain includes all countries where BBVA, S.A. operates.
(**) Turkey includes all countries in which Garanti BBVA operates.
(***) In South America, BBVA Group operates mainly in Argentina, Colombia, Peru and Uruguay.
(****) The amount of the accumulated allowances includes the provisions recorded for credit risk over the remaining expected lifetime of purchased financial instruments. Those provisions were determined at the moment of the Purchase Price Allocation and were originated mainly in the acquisition of Catalunya Banc S.A. (as of December 31, 2021, the remaining balance was €266 million). These valuation adjustments are recognized in the consolidated income statement during the residual life of the operations or are applied to the value corrections when the losses materialize.
December 2020 (Millions of Euros)
Gross exposureAccumulated allowancesCarrying amount
TotalStage 1Stage 2Stage 3TotalStage 1Stage 2Stage 3TotalStage 1Stage 2Stage 3
Spain (*)195,983171,39716,3878,199(5,679)(753)(849)(4,077)190,304170,64415,5384,122
Mexico52,21146,3734,0711,767(2,211)(685)(442)(1,083)50,00045,6883,628684
Turkey (**)39,63330,8325,8062,995(2,338)(246)(535)(1,557)37,29530,5865,2721,438
South America (***)34,49928,4844,3121,703(1,870)(320)(460)(1,090)32,62928,1653,852612
Others 92591258(7)(1)—(6)91891142
Total (****)323,252277,99830,58114,672(12,105)(2,005)(2,287)(7,813)311,147275,99328,2946,860
Of which: individual(2,611)(10)(479)(2,122)
Of which: collective(9,494)(1,995)(1,808)(5,691)
(*) Spain includes all countries where BBVA, S.A. operates.
(**) Turkey includes all countries in which Garanti BBVA operates.
(***) In South America, BBVA Group operates mainly in Argentina, Colombia, Peru and Uruguay.
(****) The amount of the accumulated allowances includes the provisions recorded for credit risk over the remaining expected lifetime of purchased financial instruments. Those provisions were determined at the moment of the Purchase Price Allocation and were originated mainly in the acquisition of Catalunya Banc S.A. (as of December 31, 2020 the remaining balance was €363 million). These valuation adjustments are recognized in the consolidated income statement during the residual life of the operations or are applied to the value corrections when the losses materialize.
December 2019 (Millions of Euros)
Gross exposureAccumulated allowancesCarrying amount
TotalStage 1Stage 2Stage 3TotalStage 1Stage 2Stage 3TotalStage 1Stage 2Stage 3
Spain (*)197,058173,84314,5998,616(5,311)(712)(661)(3,939)191,747173,13113,9394,677
The United States57,38749,7447,011632(688)(165)(342)(182)56,69949,5806,670450
Mexico60,09954,7483,8731,478(2,013)(697)(404)(912)58,08754,0523,469566
Turkey (**)43,11334,5365,1273,451(2,613)(189)(450)(1,974)40,50034,3474,6771,477
South America (***)36,26531,7542,7421,769(1,769)(366)(323)(1,079)34,49731,3882,419690
Others 83982479(8)(1)(1)(6)83282362
Total (****)394,763345,44933,36015,954(12,402)(2,129)(2,181)(8,093)382,360343,32031,1797,861
Of which: individual(2,795)(6)(347)(2,441)
Of which: collective(9,608)(2,123)(1,834)(5,652)
(*) Spain includes all countries where BBVA, S.A. operates.
(**) Turkey includes all countries in which Garanti BBVA operates.
(***) In South America, BBVA Group operates mainly in Argentina, Colombia, Peru and Uruguay.
(****) The amount of the accumulated allowances includes the provisions recorded for credit risk over the remaining expected lifetime of purchased financial instruments. Those provisions were determined at the moment of the Purchase Price Allocation and were originated mainly in the acquisition of Catalunya Banc S.A. (as of December 31, 2019 the remaining balance was €433 million). These valuation adjustments are recognized in the consolidated income statement during the residual life of the operations or are applied to the value corrections when the losses materialize.
Maximum credit risk exposure, accumulated allowances and carrying amount by counterparty [Table Text Block]
The breakdown by counterparty of the maximum credit risk exposure, the accumulated allowances recorded, as well as the carrying amount by stages of loans and advances to customers as of December 31, 2021, 2020 and 2019 is shown below:
December 2021 (Millions of Euros)
Gross exposureAccumulated allowancesNet amount
TotalStage 1Stage 2Stage 3TotalStage 1Stage 2Stage 3TotalStage 1Stage 2Stage 3
Public administrations19,71919,28736962(37)(13)(5)(19)19,68219,27436443
Other financial corporations9,8269,67213124(23)(8)(6)(9)9,8049,66412515
Non-financial corporations146,797120,14019,3667,290(5,804)(759)(1,306)(3,738)140,993119,38118,0603,552
Households153,714132,09614,3367,281(5,253)(1,184)(773)(3,295)148,461130,91213,5633,986
Loans and advances to customers330,055281,19534,20314,657(11,116)(1,964)(2,091)(7,061)318,939279,23132,1127,596
December 2020 (Millions of Euros)
Gross exposureAccumulated allowancesNet amount
TotalStage 1Stage 2Stage 3TotalStage 1Stage 2Stage 3TotalStage 1Stage 2Stage 3
Public administrations19,43919,16320076(48)(14)(9)(25)19,39119,14919151
Other financial corporations9,8569,7479514(39)(25)(6)(7)9,8179,722887
Non-financial corporations142,547119,89115,1797,477(6,123)(774)(1,110)(4,239)136,424119,11714,0693,238
Households151,410129,19615,1087,106(5,895)(1,192)(1,161)(3,542)145,515128,00513,9463,564
Loans and advances to customers323,252277,99830,58114,672(12,105)(2,005)(2,287)(7,813)311,147275,99328,2946,860
December 2019 (Millions of Euros)
Gross exposureAccumulated allowancesNet amount
TotalStage 1Stage 2Stage 3TotalStage 1Stage 2Stage 3TotalStage 1Stage 2Stage 3
Public administrations28,28127,51168288(59)(15)(22)(21)28,22227,49666066
Other financial corporations11,23911,08513617(31)(19)(2)(10)11,20711,0661348
Non-financial corporations173,254148,76816,0188,468(6,465)(811)(904)(4,750)166,789147,95715,1143,718
Households181,989158,08516,5237,381(5,847)(1,283)(1,252)(3,312)176,142156,80115,2724,069
Loans and advances to customers394,763345,44933,36015,954(12,402)(2,129)(2,181)(8,093)382,360343,32031,1797,861
Loans and advances breakdown by counterparty and product [Table Text Block]
The breakdown by counterparty and product of loans and advances, net of loss allowances, as well as the gross carrying amount by type of product, classified in different headings of the assets, as of December 31, 2021, 2020 and 2019 is shown below:
December 2021 (Millions of Euros)
Central banksGeneral governmentsCredit institutionsOther financial corporationsNon-financial corporationsHouseholdsTotalGross carrying amount
On demand and short notice—6—3212,3394953,1613,345
Credit card debt———11,50412,52314,03014,949
Commercial debtors791—47618,1916619,52419,766
Finance leases—191—147,3883177,9118,256
Reverse repurchase loans1,192—2,78823——4,0044,013
Other term loans4,17418,4404,0045,413110,204134,505276,739286,127
Advances that are not loans3153946,5103,5541,80563013,20813,263
LOANS AND ADVANCES5,68119,82213,3039,804141,431148,536338,577349,719
By secured loans
Of which: mortgage loans collateralized by immovable property324—22021,53194,821116,897119,980
Of which: other collateralized loans1,1801,4132,5343903,5121,95010,97911,335
By purpose of the loan
Of which: credit for consumption42,29442,29445,236
Of which: lending for house purchase95,20995,20996,612
By subordination
Of which: project finance loans8,8638,8639,423
December 2020 (Millions of Euros)
Central banksGeneral governmentsCredit institutionsOther financial corporationsNon-financial corporationsHouseholdsTotalGross carrying amount
On demand and short notice—7—5021,7985282,8353,021
Credit card debt———21,48511,60513,09314,220
Commercial debtors898—31714,2626715,54415,796
Finance leases—197—67,1253227,6508,013
Reverse repurchase loans472—1,914—71—2,4572,463
Other term loans5,69018,1113,9725,799111,141132,603277,317287,467
Advances that are not loans482608,7213,1911,08447313,77713,833
LOANS AND ADVANCES6,20919,47514,6089,817136,966145,598332,672344,813
By secured loans
Of which: mortgage loans collateralized by immovable property372—20922,09194,147116,819120,194
Of which: other collateralized loans472952—3173,7632,0597,5627,776
By purpose of the loan
Of which: credit for consumption39,79939,79943,037
Of which: lending for house purchase94,09894,09895,751
By subordination
Of which: project finance loans10,72110,72111,032
December 2019 (Millions of Euros)
Central banksGeneral governmentsCredit institutionsOther financial corporationsNon-financial corporationsHouseholdsTotalGross carrying amount
On demand and short notice—9—1182,3285953,0503,251
Credit card debt—10131,94014,40116,35517,608
Commercial debtors971—23015,9769917,27617,617
Finance leases—227—68,0913878,7119,095
Reverse repurchase loans——1,817—26—1,8431,848
Other term loans4,24026,7344,1217,795137,934160,223341,047351,230
Advances that are not loans358657,7433,05695150613,15613,214
LOANS AND ADVANCES4,27528,81613,68211,208167,246176,211401,438413,863
By secured loans
Of which: mortgage loans collateralized by immovable property1,0671526123,575111,085136,003139,317
Of which: other collateralized loans—10,447932,10629,0096,89348,54849,266
By purpose of the loan
Of which: credit for consumption46,35646,35649,474
Of which: lending for house purchase110,178110,178111,636
By subordination
Of which: project finance loans12,25912,25912,415
Impaired loans and advances at amortized cost covered by collateral [Table Text Block] The disclosure of impaired loans and advances at amortized cost covered by collateral (see Note 7.2.6), by type of collateral, as of December 31, 2021, 2020 and 2019, is the following:
Impaired loans and advances at amortized cost covered by collateral (Millions of Euros)
Maximum exposure to credit riskOf which secured by collateral
Residential propertiesCommercial propertiesCashOthersFinancial
December 202114,6572,8751,068533886
December 202014,6782,7177891852575
December 201915,9593,39693935221542
Guarantees Received [Table Text Block]
The value of guarantees received as of December 31, 2021, 2020 and 2019, is the following:
Guarantees received (Millions of Euros)
202120202019
Value of collateral117,362116,900152,454
Of which: guarantees normal risks under special monitoring11,76811,29614,623
Of which: guarantees non-performing risks3,9813,5774,590
Value of other guarantees48,68047,01235,464
Of which: guarantees normal risks under special monitoring7,4044,0453,306
Of which: guarantees non-performing risks886575542
Total value of guarantees received166,042163,912187,918
Abridged scale to classify BBVA group outstanding risk [Table Text Block]
The table below shows the abridged scale used to classify the BBVA Group’s outstanding risk as of December 31, 2021:
Internal ratingProbability of default
(basis points)
Reduced List (22 groups)AverageMinimum from >=Maximum
AAA1—2
AA+223
AA334
AA-445
A+556
A869
A-10911
BBB+141117
BBB201724
BBB-312439
BB+513967
BB8867116
BB-150116194
B+255194335
B441335581
B-7855811,061
CCC+1,1911,0611,336
CCC1,5001,3361,684
CCC-1,8901,6842,121
CC+2,3812,1212,673
CC3,0002,6733,367
CC-3,7803,3674,243
Probability of default basis points [Table Text Block]
The table below outlines the distribution by probability of default within 12 months and through the lifetime of the asset, and stages of the gross carrying amount of loans and advances to customers in percentage terms of the BBVA Group as of December 31, 2021, 2020 and 2019:
Probability of default (basis points)
202120202019
Subject to 12 month ECL (Stage 1)Subject to lifetime ECL (Stage 2)Subject to 12 month ECL (Stage 1)Subject to lifetime ECL (Stage 2)Subject to 12 month ECL (Stage 1)Subject to lifetime ECL (Stage 2)
%%%%%%
0 to 25.8—4.0—5.5—
2 to 515.70.110.20.16.3—
5 to 1115.20.27.70.114.60.2
11 to 3918.70.626.80.524.50.8
39 to 19419.12.524.02.324.51.6
194 to 1,06112.23.815.13.414.03.6
1,061 to 2,1211.91.51.51.21.41.2
> 2,1210.81.90.62.50.41.5
Total89.410.689.910.191.09.0
Impaired secured loans risks [Table Text Block]
The breakdown of loans and advances within financial assets at amortized cost, by impaired amount, accumulated impairment, gross carrying amount and by counterparties, as of December 31, 2021, 2020 and 2019 is as follows:
December 2021 (Millions of Euros)
Gross carrying amountImpaired loans and advancesAccumulated impairment Impaired loans and advances as a % of the total
Central banks5,687—(6)— %
General governments19,71962(37)0.3 %
Credit institutions13,295—(19)— %
Other financial corporations9,82624(23)0.2 %
Non-financial corporations146,7977,290(5,804)5.0 %
Agriculture, forestry and fishing4,077125(154)3.1 %
Mining and quarrying4,889222(130)4.5 %
Manufacturing35,0581,003(867)2.9 %
Electricity, gas, steam and air conditioning supply13,718570(489)4.2 %
Water supply78222(21)2.9 %
Construction8,336894(619)10.7 %
Wholesale and retail trade25,8561,311(1,104)5.1 %
Transport and storage10,310879(400)8.5 %
Accommodation and food service activities7,693470(405)6.1 %
Information and communications6,533117(56)1.8 %
Financial and insurance activities6,216197(181)3.2 %
Real estate activities9,438719(466)7.6 %
Professional, scientific and technical activities3,910185(152)4.7 %
Administrative and support service activities3,046181(132)5.9 %
Public administration and defense; compulsory social security2039(11)4.5 %
Education58243(34)7.4 %
Human health services and social work activities1,88848(41)2.5 %
Arts, entertainment and recreation1,011209(95)20.7 %
Other services3,25084(447)2.6 %
Households153,7147,281(5,253)4.7 %
LOANS AND ADVANCES349,03714,657(11,142)4.2 %
December 2020 (Millions of Euros)
Gross carrying amountImpaired loans and advancesAccumulated impairment Impaired loans and advances as a % of the total
Central banks6,229—(20)— %
General governments19,43976(48)0.4 %
Credit institutions14,5916(16)— %
Other financial corporations9,85614(39)0.1 %
Non-financial corporations142,5477,477(6,123)5.2 %
Agriculture, forestry and fishing3,438132(108)3.8 %
Mining and quarrying4,34947(59)1.1 %
Manufacturing33,7711,486(1,129)4.4 %
Electricity, gas, steam and air conditioning supply13,490591(509)4.4 %
Water supply89917(15)1.9 %
Construction10,0191,397(722)13.9 %
Wholesale and retail trade24,5941,456(1,223)5.9 %
Transport and storage8,117489(368)6.0 %
Accommodation and food service activities8,337358(294)4.3 %
Information and communications5,76473(60)1.3 %
Financial and insurance activities5,298123(132)2.3 %
Real estate activities10,025617(494)6.2 %
Professional, scientific and technical activities2,886177(124)6.1 %
Administrative and support service activities3,955142(192)3.6 %
Public administration and defense, compulsory social security1295(4)3.5 %
Education66554(43)8.1 %
Human health services and social work activities1,81267(59)3.7 %
Arts, entertainment and recreation1,13146(65)4.1 %
Other services3,871198(523)5.1 %
Households151,4107,106(5,895)4.7 %
LOANS AND ADVANCES344,07214,678(12,141)4.3 %
December 2019 (Millions of Euros)
Gross carrying amountImpaired loans and advancesAccumulated impairment Impaired loans and advances as a % of the total
Central banks4,285—(9)— %
General governments28,28188(60)0.3 %
Credit institutions13,6646(15)— %
Other financial corporations11,23917(31)0.2 %
Non-financial corporations173,2548,467(6,465)4.9 %
Agriculture, forestry and fishing3,758154(124)4.1 %
Mining and quarrying4,669100(86)2.1 %
Manufacturing39,5171,711(1,242)4.3 %
Electricity, gas, steam and air conditioning supply12,305684(575)5.6 %
Water supply90014(16)1.6 %
Construction10,9451,377(876)12.6 %
Wholesale and retail trade27,4671,799(1,448)6.6 %
Transport and storage9,638507(392)5.3 %
Accommodation and food service activities8,703279(203)3.2 %
Information and communications6,31695(65)1.5 %
Financial and insurance activities6,864191(140)2.8 %
Real estate activities19,435782(527)4.0 %
Professional, scientific and technical activities4,375167(140)3.8 %
Administrative and support service activities3,415118(134)3.4 %
Public administration and defense, compulsory social security2825(6)1.7 %
Education90341(38)4.5 %
Human health services and social work activities4,69666(55)1.4 %
Arts, entertainment and recreation1,39647(39)3.4 %
Other services7,671331(360)4.3 %
Households181,9897,381(5,847)4.1 %
LOANS AND ADVANCES412,71115,959(12,427)3.9 %
Changes in impaired financial assets and guarantees given [Table Text Block]
The changes during the years 2021, 2020 and 2019 of impaired financial assets and contingent risks are as follows:
Changes in impaired financial assets and guarantees given (Millions of Euros)
202120202019
Balance at the beginning 15,47816,77017,134
Additions8,5569,5339,857
Decreases (*)(4,555)(5,024)(5,874)
Net additions4,0014,5093,983
Amounts written-off(3,613)(3,603)(3,803)
Exchange differences and other(399)(968)(544)
Discontinued operations—(1,230)—
Balance at the end 15,46715,47816,770
(*) Reflects the total amount of impaired loans derecognized from the consolidated balance sheet throughout the year as a result of mortgage foreclosures and real estate assets received in lieu of payment as well as monetary recoveries.
Changes in impaired financial assets written off from the balance sheet [Table Text Block]
Changes in impaired financial assets written-off from the balance sheet (Millions of Euros)
Notes202120202019
Balance at the beginning 22,00126,24532,343
Companies held for sale (*)—(4,646)—
Increase3,7093,4404,712
Decrease:(3,605)(2,715)(11,039)
Re-financing or restructuring(1)(7)(2)
Cash recovery47(423)(339)(919)
Foreclosed assets(17)(479)(617)
Sales (**)(2,437)(1,223)(8,325)
Debt forgiveness(599)(607)(493)
Time-barred debt and other causes (129)(60)(682)
Net exchange differences(116)(323)230
Balance at the end21,99022,00126,245
(*) The amount in 2020 includes the balance of the companies in the United States included in the USA Sale (see Notes 1.3, 3 and 21).
(**) Includes principal and interest.
Changes in gross accounting balances of loans and advances at amortized cost [Table Text Block]
Movements, measured over a 12-month period, in gross accounting balances and accumulated allowances for loan losses during 2021, 2020 and 2019 are recorded on the accompanying consolidated balance sheet as of December 31, 2021, 2020 and 2019, in order to cover the estimated loss allowances in loans and advances and debt securities measured at amortized cost.
Changes in gross accounting balances of loans and advances at amortized cost. Year 2021 (Millions of Euros)
Stage 1Stage 2Stage 3Total
Balance at the beginning298,79330,60114,678344,072
Transfers of financial assets:(10,785)8,6402,145—
Transfers from stage 1 to Stage 2(14,482)14,482——
Transfers from stage 2 to Stage 14,905(4,905)——
Transfers to Stage 3(1,772)(1,945)3,717—
Transfers from Stage 35641,009(1,573)—
Net annual origination of financial assets17,876(4,729)1,21714,364
Becoming write-offs(74)(68)(3,095)(3,237)
Changes in model / methodology————
Foreign exchange(6,054)(1,902)(216)(8,172)
Modifications that do not result in derecognition1871,6421892,018
Other22429(261)(8)
Balance at the end300,16734,21314,657349,037
Changes in gross accounting balances of loans and advances at amortized cost. Year 2020 (Millions of Euros)
Stage 1Stage 2Stage 3Total
Balance at the beginning363,23433,51815,959412,711
Transfers of financial assets:(11,935)8,8073,128—
Transfers from stage 1 to Stage 2(15,843)15,843——
Transfers from stage 2 to Stage 15,107(5,107)——
Transfers to Stage 3(1,701)(2,659)4,359—
Transfers from Stage 3502729(1,231)—
Net annual origination of financial assets16,119(827)10215,395
Becoming write-offs(3)(2)(2,944)(2,949)
Changes in model / methodology————
Foreign exchange(21,472)(2,342)(1,157)(24,970)
Modifications that do not result in derecognition(204)8275111,134
Other(283)(190)270(204)
Discontinued operations(46,664)(9,190)(1,192)(57,045)
Balance at the end298,79330,60114,678344,072
Changes in gross accounting balances of loans and advances at amortized cost. Year 2019 (Millions of Euros)
Stage 1Stage 2Stage 3Total
Balance at the beginning352,28230,70716,359399,347
Transfers of financial assets:(9,021)6,2792,741—
Transfers from stage 1 to stage 2(13,546)13,546——
Transfers from stage 2 to stage 15,656(5,656)——
Transfers to stage 3(1,571)(2,698)4,269—
Transfers from stage 34401,087(1,527)—
Net annual origination of financial assets20,296(2,739)24617,804
Becoming write-offs(152)(349)(3,407)(3,908)
Changes in model / methodology————
Foreign exchange1,61135161,662
Modifications that do not result in derecognition(1)(27)15(13)
Other(1,782)(388)(11)(2,180)
Balance at the end363,23433,51815,959412,711
Changes in allowances of loans and advances at amortized cost [Table Text Block]
Changes in allowances of loans and advances at amortized cost. Year 2021 (Millions of Euros)
Stage 1Stage 2Stage 3Total
Balance at the beginning(2,037)(2,289)(7,815)(12,141)
Transfers of financial assets:187441(2,521)(1,893)
Transfers from stage 1 to Stage 2139(602)—(463)
Transfers from stage 2 to Stage 1(60)307—247
Transfers to Stage 3111802(2,775)(1,862)
Transfers from Stage 3(3)(66)254185
Net annual origination of allowances(563)(57)(314)(933)
Becoming write-offs45562,6942,795
Changes in model / methodology————
Foreign exchange70(270)719519
Modifications that do not result in derecognition12(79)(122)(189)
Other297106298701
Balance at the end(1,990)(2,091)(7,061)(11,142)
Changes in allowances of loans and advances at amortized cost. Year 2020 (Millions of Euros)
Stage 1Stage 2Stage 3Total
Balance at the beginning(2,149)(2,183)(8,094)(12,427)
Transfers of financial assets:184(511)(1,806)(2,133)
Transfers from stage 1 to stage 2156(923)—(766)
Transfers from stage 2 to stage 1(50)253—202
Transfers to stage 381218(1,950)(1,652)
Transfers from stage 3(3)(59)14483
Net annual origination of allowances(872)(795)(1,329)(2,996)
Becoming write-offs——2,5672,568
Changes in model / methodology————
Foreign exchange2272567211,204
Modifications that do not result in derecognition12(118)(177)(283)
Other16061825803
Discontinued operations4014442781,123
Balance at the end(2,037)(2,289)(7,815)(12,141)
Changes in allowances of loans and advances at amortized cost. Year 2019 (Millions of Euros)
Stage 1Stage 2Stage 3Total
Balance at the beginning(2,082)(2,375)(7,761)(12,217)
Transfers of financial assets:176(227)(1,574)(1,626)
Transfers from stage 1 to stage 2126(649)—(523)
Transfers from stage 2 to stage 1(38)273—235
Transfers to stage 389234(1,810)(1,487)
Transfers from stage 3(1)(86)236149
Net annual origination of allowances(542)(116)(1,711)(2,370)
Becoming write-offs1303372,7893,256
Changes in model / methodology————
Foreign exchange(30)(18)6920
Modifications that do not result in derecognition(15)(149)(89)(254)
Other215366183764
Balance at the end(2,149)(2,183)(8,094)(12,427)
Sensitivity to interest rate analysis [Table Text Block] The table below shows the profile of average structural interest rate risk and credit spread risk of fixed income portfolio in the banking book classified as HtC&S in terms of sensitivities of the main currencies for the BBVA Group in 2021:
Sensitivity to interest-rate and credit spread analysis. Year 2021
interest rate risk and credit spread
Impact on net interest income (*)Impact on economic value (**)Impact on economic value (**)
100 basis-point increase100 basis-point decrease (***)100 basis-point increase100 basis-point decrease (***)100 basis-point increase
EUR [3.5% , 5.5%][-3.5% , -1.5%][3.5% , 5.5%][-3.5% , -1.5%][-3.5% , -1.5%]
MXN[0.5% , 1.5%][-1.5% , -0.5%][-1.5% , -0.5%][0.5% , 1.5%][-0.5% , 0.5%]
USD[0.5% , 1.5%][-1.5% , -0.5%][0.5% , 1.5%][-1.5% , -0.5%][-0.5% , 0.5%]
TRY[-0.5% , 0.5%][-0.5% , 0.5%][-0.5% , 0.5%][-0.5% , 0.5%][-0.5% , 0.5%]
Other[-0.5% , 0.5%][-0.5% , 0.5%][-0.5% , 0.5%][-0.5% , 0.5%][-0.5% , 0.5%]
BBVA Group[7.5% , 10.0%][-5.5% , -3.5%][3.5% , 5.5%][-3.5% , -1.5%][-3.5% , -1.5%]
(*) Percentage of "12 months" net interest income for the BBVA Group.
(**) Percentage of CET1 (Fully Loaded) for BBVA Group
(***) In EUR and USD (and GBP included in "Other"), negative interest rates scenarios are allowed up to plausible levels lower than current rates.
Sensitivity to one percent of the average rate in the main currencies [Table Text Block]
For the years 2021, 2020 and 2019, the estimated sensitivities of the result attributable to the parent company are shown below, taking into account the coverage, against depreciations and appreciations of 1% of the average rate in the main currencies. To the extent that hedging positions are periodically modulated, the sensitivity estimate attempts to reflect an average (or effective) sensitivity in the year:
Sensitivity to 1% change (Millions of Euros)
Currency202120202019
Mexican peso14.04.912.7
Turkish lira4.74.53.1
Peruvian sol0.30.41.9
Chilean peso0.60.30.5
Colombian peso1.11.42.6
Argentine peso0.60.91.3
VaR by Risk factor [Table Text Block]
As of December 31, 2021, 2020 and 2019 the VaR was €31 million, €28 million and €20 million, respectively. The total VaR figures for 2021, 2020 and 2019 can be broken down as follows:
VaR by Risk Factor (Millions of Euros)
Interest/Spread riskCurrency riskStock-market riskVega/Correlation riskDiversification effect(*)Total
2021
VaR average in the year3310211(28)29
VaR max in the year321341(14)36
VaR min in the year279110(25)22
End of period VaR349511(29)31
2020
VaR average in the year2912411(28)27
VaR max in the year39201020(14)39
VaR min in the year20316(39)18
End of period VaR3212211(29)28
2019
VaR average in the year21649(20)19
VaR max in the year28639(21)25
VaR min in the year13559(18)14
End of period VaR24558(22)20
(*) The diversification effect is the difference between the sum of the average individual risk factors and the total VaR figure that includes the implied correlation between all the variables and scenarios used in the measurement.
Impact of the stress test [Table Text Block]
The impact of the stress test under multivariable simulation of the risk factors of the portfolio based on the expected shortfall (expected shortfall calculated at a 97.5% confidence level, 20 days) as of December 31, 2021 is as follows:
Impact of the stress test (Millions of Euros)
0EuropeMexicoPeruVenezuelaArgentinaColombiaTurkey
Expected shortfall(76)(75)(11)—(5)(5)(8)
Effect offsetting for derivatives and securities operation [Table Text Block]
A summary of the effect of offsetting (via netting and collateral) for derivatives and securities operations is presented below as of December 31, 2021, 2020 and 2019:
Effect of offsetting for derivatives and securities operation (Millions of Euros)
Gross amounts not offset in the consolidated balance sheets (D)
NotesGross amounts recognized (A)Gross amounts offset in the consolidated balance sheets (B)Net amount presented in the consolidated balance sheets (C=A-B)Financial instrumentsCash collateral received/ pledgedNet amount (E=C-D)
December 2021
Trading and hedging derivatives10, 1536,3493,61132,73722,5248,7581,456
Reverse repurchase, securities borrowing and similar agreements54,296—54,29655,0102,213(2,927)
Total assets90,6453,61187,03477,53410,971(1,471)
Trading and hedging derivatives10, 1537,9163,58434,33122,52410,1191,688
Repurchase, securities lending and similar agreements54,159—54,15958,174679(4,694)
Total liabilities92,0743,58488,49080,69810,798(3,006)
December 2020
Trading and hedging derivatives10, 1547,8625,68842,17333,8429,018(686)
Reverse repurchase, securities borrowing and similar agreements32,121—32,12132,762161(802)
Total assets79,9835,68874,29466,6049,178(1,488)
Trading and hedging derivatives10, 1549,7205,72243,99833,8429,435721
Repurchase, securities lending and similar agreements41,571—41,57142,2981,619(2,346)
Total liabilities91,2915,72285,56976,14011,054(1,624)
December 2019
Trading and hedging derivatives10, 1536,3492,38833,96125,0208,210731
Reverse repurchase, securities borrowing and similar agreements33,5392133,51833,352204(39)
Total assets69,8882,40967,47958,3728,415692
Trading and hedging derivatives10, 1538,6932,39436,29925,02010,613667
Repurchase, securities lending and similar agreements43,7122143,69142,974420297
Total liabilities82,4042,41479,99067,99311,033964
LtSCD by LMU [Table Text Block]
The performance of the indicators show that the adequacy of the funding structure remained steady during 2021, 2020 and 2019, in the sense that all LMU held self-funding levels with stable customer resources above the requirements.
LtSCD by LMU
202120202019
Group (average)95%95%108%
BBVA S.A.98%97%108%
BBVA Mexico93%98%116%
Garanti BBVA81%95%99%
Other LMU93%86%103%
LCR main LMU [Table Text Block] Although this requirement is only established at a Group level, for banks in the Eurozone, the minimum level required is comfortably exceeded in all subsidiaries. It should be noted that the calculation of the Consolidated LCR does not allow the transfer of liquidity between subsidiaries, so no excess liquidity may be transferred from these entities for the purpose of calculating the consolidated ratio. If the impact of these highly liquid assets was considered, the LCR would be 213%, or +48 basis points above the required level.
LCR main LMU
0202120202019
Group 165%149%129%
BBVA S.A.190%173%147%
BBVA Mexico245%196%147%
Garanti BBVA211%183%206%
Liquidity available by instrument [Table Text Block] The table below shows the liquidity available by instrument as of December 31, 2021, 2020 and 2019 for the most significant entities based on prudential supervisor’s information (Commission Implementing Regulations (EU) 2017/2114 of November 9, 2017):
Liquidity available by instrument (Millions of Euros)
BBVA S.A.BBVA MexicoGaranti BBVAOther
202120202019202120202019202120202019202120202019 (*)
Cash and withdrawable central bank reserves35,25839,33014,51612,1468,9306,2468,1796,1536,4506,4696,83111,317
Level 1 tradable assets37,27248,85841,96113,8819,2057,2955,5497,0197,9536,0366,23714,930
Level 2A tradable assets5,2345,11940374106316—————344
Level 2B tradable assets9,4926,0805,1962811219———2—12
Other tradable assets27,87020,17422,2133434211,2697227016699347451,538
Non tradable assets eligible for central banks———————————2,935
Cumulated counterbalancing capacity115,127119,56084,28826,47218,67215,34414,44913,87315,07213,44013,81431,075
(*) In 2019 it includes the balance of the companies in the United States (see Notes 1.3, 3 and 21).
NSFR main LMU [Table Text Block]
The NSFR of BBVA Group and its main LMU at December 31, 2021, 2020 and 2019, was the following:
NSFR main LMU
20212020(*)2019(*)
Group 135 %127 %120 %
BBVA S.A.126%121%113%
BBVA Mexico149%138%130%
Garanti BBVA162%154%151%
(*) Ratio calculated based on the Basel requirements for 2019 and 2020.
Residual maturities by contractual periods [Table Text Block] Below is a matrix of residual maturities by contractual periods based on supervisory prudential reporting as of December 31, 2021, 2020 and 2019:
December 2021. Contractual maturities (Millions of Euros)
Demand Up to 1 month1 to 3 months3 to 6 months6 to 9 months9 to 12 months1 to 2 years2 to 3 years3 to 5 years Over 5 yearsTotal
ASSETS
Cash, cash balances at central banks and other demand deposits39,76124,598————————64,359
Deposits in credit entities—3,7814007903732992111668266,056
Deposits in other financial institutions29018015847274326944702614695,343
Reverse repo, securities borrowing and margin lending—33,85611,6112,9451,0631,6922,1882,2391,11873957,451
Loans and advances17418,53123,18522,14111,76913,78239,65630,04944,50894,780298,574
Securities' portfolio settlement101,7793,6063,3952,3333,95818,85413,13517,21447,331111,614
December 2021. Contractual maturities (Millions of Euros)
Demand Up to 1 month1 to 3 months3 to 6 months6 to 9 months9 to 12 months1 to 2 years2 to 3 years3 to 5 years Over 5 yearsTotal
LIABILITIES
Wholesale funding—3,0651,0773,4982,9141,8859,4774,93112,33219,99159,169
Deposits in financial institutions1,9364,2574158251839244961461465799,907
Deposits in other financial institutions and international agencies8,8942,7281,70038228922757823133772216,087
Customer deposits281,81228,80611,8144,8671,7171,5201,740578863416334,132
Security pledge funding—52,4376,8582,4851,5138,25229,9545,5274,7551,490113,269
Derivatives, net(33)(395)(176)(326)(66)(641)100(122)(155)(66)(1,880)
December 2020. Contractual maturities (Millions of Euros) (*)
Demand Up to 1 month1 to 3 months3 to 6 months6 to 9 months9 to 12 months1 to 2 years2 to 3 years3 to 5 years Over 5 yearsTotal
ASSETS
Cash, cash balances at central banks and other demand deposits42,51832,741————————75,258
Deposits in credit entities—3,6166779213564611171202396,309
Deposits in other financial institutions—2,2028557977345431,2517215155008,119
Reverse repo, securities borrowing and margin lending—20,0334,7571,3513643683,3201,8498911,08934,021
Loans and advances27916,93924,28023,01215,57917,03246,18238,85151,709110,173344,036
Securities' portfolio settlement—3,8966,6806,5575,08413,0149,85815,49417,23150,045127,859
(*) It includes the balance of the companies in the United States (see Notes 1.3, 3 and 21).
December 2020. Contractual maturities (Millions of Euros) (*)
Demand Up to 1 month1 to 3 months3 to 6 months6 to 9 months9 to 12 months1 to 2 years2 to 3 years3 to 5 years Over 5 yearsTotal
LIABILITIES
Wholesale funding—4,7502,6183,9631,2831,54310,5737,50512,79323,83968,868
Deposits in financial institutions8,8387,85925474115272682518916637120,120
Deposits in other financial institutions and international agencies12,7354,3242,69458835327295733745987023,589
Customer deposits308,36039,97813,4166,8084,5264,3663,3611,213869799383,694
Security pledge funding—41,2395,3011,6431,19236811,30428,5103,7401,51694,812
Derivatives, net—(722)15(961)(85)134(400)(157)(264)(159)(2,599)
(*) It includes the balance of the companies in the United States (see Notes 1.3, 3 and 21).
December 2019. Contractual maturities (Millions of Euros) (*)
Demand Up to 1 month1 to 3 months3 to 6 months6 to 9 months9 to 12 months1 to 2 years2 to 3 years3 to 5 years Over 5 yearsTotal
ASSETS
Cash, cash balances at central banks and other demand deposits20,95420,654————————41,608
Deposits in credit entities—3,591283488585503189241204326,216
Deposits in other financial institutions—1,3361,1207965899911,4201,0726722,08910,084
Reverse repo, securities borrowing and margin lending—21,6123,8582,2875618084,1211,83841180336,299
Loans and advances15722,01525,05624,99415,77716,40442,16535,91754,772122,098359,354
Securities' portfolio settlement—1,6223,8736,6202,0177,29221,3346,11513,24046,022108,136
(*) It includes the balance of the companies in the United States (see Notes 1.3, 3 and 21).
December 2019. Contractual maturities (Millions of Euros) (*)
Demand Up to 1 month1 to 3 months3 to 6 months6 to 9 months9 to 12 months1 to 2 years2 to 3 years3 to 5 years Over 5 yearsTotal
LIABILITIES
Wholesale funding11,3931,7144,2081,6454,3868,32810,60810,80327,84070,927
Deposits in financial institutions7,3777,6084931,1221721,51438661420651020,004
Deposits in other financial institutions and international agencies10,1773,85986738136725798250349995218,843
Customer deposits271,63843,57718,55010,0137,2666,6053,7172,0628541,039365,321
Security pledge funding—45,1353,20215,8011,4566533,3937,2067591,30878,914
Derivatives, net—(66)(25)29(11)1,097(830)(278)(333)(420)(838)
(*) It includes the balance of the companies in the United States (see Notes 1.3, 3 and 21).
Encumbered and unencumbered asstes [Table Text Block]
As of December 31, 2021, 2020 and 2019, the encumbered (those provided as collateral for certain liabilities) and unencumbered assets are broken down as follows:
Encumbered and unencumbered assets (Millions of Euros)
Encumbered assetsUnencumbered assets
Book value Fair valueBook value Fair value
202120202019202120202019202120202019202120202019
Assets114,336121,999101,792548,548614,260596,898
Equity instruments3072,1343,5263072,1343,52622,28014,55612,11322,28014,55612,113
Debt securities31,55729,37929,63029,52726,11229,56789,307100,10895,61189,307100,10895,611
Loans and advances and other assets82,47290,48668,636436,962499,595489,174
Collateral pledges received [Table Text Block]
As of December 31, 2021, 2020 and 2019, collateral pledges received mainly due to repurchase agreements and securities lending, and those which could be committed in order to obtain funding are provided below:
Collateral received (Millions of Euros)
Fair value of encumbered collateral received or own debt securities issuedFair value of collateral received or own debt securities issued available for encumbranceFair value of collateral received or own debt securities issued not available for encumbrance
202120202019202120202019202120202019
Collateral received40,90530,72338,49617,0298,6529,2081,7191,07148
Equity instruments2892396526520470———
Debt securities40,61630,48438,43116,7648,4489,1301,7191,07138
Loans and advances and other assets—————8——10
Own debt securities issued other than own covered bonds or ABSs—3—509482———
Sources of encumbrance [Table Text Block] As of December 31, 2021, 2020 and 2019, financial liabilities issued related to encumbered assets in financial transactions as well as their book value were as follows:
Sources of encumbrance (Millions of Euros)
Matching liabilities, contingent liabilities or securities lentAssets, collateral received and own
debt securities issued other than covered bonds and ABSs encumbered
202120202019202120202019
Book value of financial liabilities137,242131,352124,252151,275147,523135,500
Derivatives15,36816,61119,06615,19116,34820,004
Deposits109,31198,66887,906120,957111,72694,240
Outstanding subordinated debt12,56316,07317,28015,12719,44921,256
Other sources6206534493,9665,2024,788